Whether GBIC or SFP, connecting an LX/LH optical transceiver to an SX optical transceiver does not work. They use different wavelengths of light that are not compatible: LX runs at 1300nm, SX uses 850nm. Also, a patch cord such as the mode conditioning patch cable (Cisco product number CAB-GELX-625) will not convert the wavelength from one to the other. You need an active device for that.
If you do need to convert between wavelengths, there are companies that make SX-to-LX media converters. (For example, Transition Networks part number F-SM-MM-04, list price US$1,275.) But these are meant to be used with devices that have built-in fiber ports. It's usually just cheaper to buy the correct matching GBIC or SFP. (Cisco LX/LH list price US$995, or SX list price US$500.)
You might be able to get an SX and an LX to talk to each other if the cable distance is short and the receiving optical elements have fairly loose tolerances. I've seen this happen once between an LX/LH (1300nm) and a ZX GBIC (1550nm). But it's not something I would want to bet my job on.
